Okay, nobody would write a dialog box that stupid, would they?
But the following dialog boxes don't really help much either:

"You clicked on an mp3 file.
Do you want to open it with that program you just installed?"

"You clicked on an avi file.
Do you want to open it with that program you just installed?"

"You clicked on an mpg file.
Do you want to open it with that program you just installed?"

"You clicked on a wmv file.
Do you want to open it with that program you just installed?"

"You clicked on a wma file.
Do you want to open it with that program you just installed?"

A phenomenon known as
"Dialog box fatigue" quickly sets in
(with a big dose of "You stupid computer" thrown in for good measure).
The system today is already filled with so many dialog boxes that
users are conditioned just to click "Yes" to everything.
If you click "Yes", then the computer does the thing you told it do.
If you click "No", then nothing happens.
In other words, users have already learned to interpret these
dialog boxes as saying
"Click Yes to do the thing you want to do or No to give up and cancel."
Why would anybody click "No"?

Moving to the specific case of programs that display media content:
I am led to believe that all the media players
include a page in their install wizard that list the file types
they are capable of playing
and give you a chance to check/uncheck the ones you want them to
assume responsibility for.
I believe this was the armistice that resulted after
a bunch of industry wrangling
wherein companies were busy accusing each other of sabotaging
each other's file types.
The upshot is that all reputable media players have already gotten
your permission to take over playback of those media types.
Why ask the user to confirm something they have already confirmed?
"Stupid computer."

Okay, so those dialog boxes are unnecessary for reputable media players.
What about the disreputable ones?
Well, once you've established that you're dealing with disreputable
media players,
they're just going to go in and hack the settings to say,
"Oh, the user already confirmed this take-over, don't bother asking.
It's all good."

So you now have a dialog box that (1) is redundant with reputable
media players, and (2) has no effect for disreputable media players.
What did this dialog box accomplish again?